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Jan
14
reviewed Reviewed CTD and bond futures
Jan
13
comment What is the canonical reference for Minimum Variance Portfolio's uniqueness?
If you could add references to what you just sayed it would be great by the way (not to say it's wrong but it was the base of my question).
Jan
13
comment What is the canonical reference for Minimum Variance Portfolio's uniqueness?
Yes, but the covariance matrix is not strictly positive definite, it is positive semi-definite isn't it?
Jan
13
comment What is the canonical reference for Minimum Variance Portfolio's uniqueness?
Actually I don't think that's true. Uniqueness of a minimal variance is guaranteed by convexity but nothing says that there might not be several portfolios giving the same minimal value.
Jan
12
comment What is the clean price and dirty price of a risky bond?
@edouard : I agree with your answer, but when you write it you should try to make sure that the guy who posted the question will be able to understand it. So maybe you could have added a few more sentences. To explicitly answer the question...
Jan
12
answered What is the clean price and dirty price of a risky bond?
Jan
12
revised What is the clean price and dirty price of a risky bond?
restated question, retagged
Jan
12
reviewed Looks OK What is the clean price and dirty price of a risky bond?
Jan
12
reviewed Looks OK What are the best Journals & Conferences in Quantitative Finance?
Jan
11
revised How to compute interest rate futures spread ratio?
edited title
Jan
11
comment What is the canonical reference for Minimum Variance Portfolio's uniqueness?
I had a look at the blog posts, but none of them really mention the discussion of the uniqueness of the MV portfolio do they? This really the main point of my question in fact...
Jan
8
revised How to fit ARMA+GARCH Model In R?
rephrased question, removed courtesies
Jan
7
comment What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
Your answer is wrong; I mean it's not the right process.
Jan
7
revised What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
added 291 characters in body
Jan
7
answered What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
Jan
7
comment What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
He's apparently not looking for the classic Ornstein-Uhlenbeck process, but the Geometric version.
Jan
7
comment What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
Wait guys, he's not talking about the normal OU process, he's looking at the Geometric version. I couldn't find easily the answer on google for that.
Jan
7
revised What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
retag, rephrased question, improve formatting, removed courtesie
Jan
5
comment Is this comment right about subadditivity?
@user3544 you can accept the answer if you're satisfied then!
Jan
4
answered Is this comment right about subadditivity?